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Saudi Arabian Coop Insurance Spline ILLIQ Liquidity Analysis

Liquidity prediction for Wednesday, July 15th, 2026

1 Day

4,823.12

decreased by 925.19

1 Week

5,325.78

decreased by 422.53

1 Month

5,928.70

increased by 180.39

Analysis last updated: Wednesday, July 15, 2026 at 08:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Saudi Arabian Coop Insurance ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Nov 12, 2007 to Jul 9, 2026

Model Insight

With persistence 0.992, illiquidity shocks have a half-life of 86 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.6586
3.85***
α

ARCH

Response to squared shocks

0.2005
9.06***
β

GARCH

Volatility persistence

0.7914
37.00***
γi Spline Coefficients
K=1
γ10.0096
1.99**

Persistence:

0.992

Half-life:

86 days